Hi, see the attached sample XSN I created to show you how do this.
First you have to do this using a secondary data source only (2DS) - the data in the drop down needs to be in a secondary data source, it won't work if you add the drop down values manually to the control in InfoPath.
Then you filter the dropdown choice using a little xpath expression that bascially verifys that what you have selected is not already selected.
Hope that helps
Ted